When Boardwalk Empire first arrived on television, it was in a cloud of hype and high expectations. Martin Scorsese directed the show's pilot. It was written by Terence Winter, the man behind some of the best episodes of The Sopranos, and it had one of the strongest casts on television, including Steve Buscemi, Kelly Macdonald, Michael Shannon and Michael K Williams.

As the prohibition drama begins its third season in the UK this weekend, however, those levels of expectation have dropped off. Critics claim it's too slow, the drama is style over substance, and little happens. Some viewers say they started watching but quickly got bored.

Yet such criticisms do Boardwalk Empire a disservice. Not all shows are like Homeland, which started with a bang and kept accelerating. Some programmes are slow burners, as intent on building a detailed world as on telling their tale. Boardwalk Empire isn't drama's second coming, but something altogether more interesting.

Chief among the show's perceived flaws is its pace – it often appears happiest when it is meandering down plot side-alleys. Yet that slow pace can have benefits: the first two seasons took time to reach their climaxes, but when those endpoints came they were both explosive and fully earned.

Thus in the first season we watched as Buscemi's Nucky Thompson waged an interior battle between the businessman who ruled his head and the gangster he was at heart. Season two, meanwhile, contrasted Nucky with his protege and surrogate son, Jimmy Darmody (Michael Pitt) – one man who was all calm consideration and another who felt curiously liberated by the violence of war. That battle between Buscemi's semi-detached coolness and Pitt's furious and unfettered force illustrated why Boardwalk benefits from repeated viewing. Look beyond the trappings, the pretty dresses and the at-times exhaustive attention to historical details, and Winter is trying to tell a wider tale.

From Shannon's conflicted FBI agent and his dark journey from the path of righteousness, to Williams's Chalky, with his dirty deals kept separate from the polished aspirations of his family, this is a story about the gulf between appearances and reality.

Season three begins with that most traditional of gangster storylines – Nucky is at the height of his power, but facing a new threat from Bobby Cannavale's charismatic and short-tempered Gyp Rosetti. Beneath the show's glittering surfaces and the front its characters present to the world, another story plays out.

Whether it's Macdonald's Margaret, the outwardly respectable woman whose conscience is so easily squared, or Gretchen Mol's monstrous Gillian hiding her venal heart behind a frivolous facade, Boardwalk Empire is stuffed full of people who say one thing and plot another. And nowhere is that contradiction between perception and reality more notable than with Nucky.

There are those who don't buy Buscemi's portrayal: who complain that he lacks the charisma of a James Gandolfini; that he doesn't seem believable in the gangster role. But the whole point of Nucky is that he started life as a businessman – that he believes, erroneously, he can be "half a gangster". And Buscemi's portrayal recalls not the bluster of a Gandolfini but rather the sly, slipperiness of a Peter Lorre villain. Nucky's the sort of man who wants you to think he's not dangerous even as he drives the dagger into your back.

Most importantly, he's governed by his head, rarely making a decision without first considering its long-term effects. Boardwalk asks: What best governs a man – his head or heart? Can the gulf between those who have fought in war and those who have watched from the sidelines ever really be bridged?

Most of all this is a moral tale of an America forged in greed and corruption. In that sense it recalls The Sopranos with its charming bully of an anti-hero, far less than the conscience-driven Breaking Bad. Like Walter White, Nucky Thompson is a man with steel in his core, unafraid to commit evil in the name of business. But like White, Thompson's actions come with a price; neither man impervious to the reckonings heading their way. It's that acknowledgment, that belief that evil does not happen in a vacuum, which makes Boardwalk so much more than a period piece and which will reward those prepared to give it a second try.

• Boardwalk Empire starts on Sky Atlantic on Saturday 29 September at 9pm